Mortality derivatives and the option to annuitise
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 29 (2001)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/inca/505554
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Charles Mullin & Tomas Philipson, 1997.
"The Future of Old-Age Longevity: Competitive Pricing of Morality Contingent Claims,"
University of Chicago - George G. Stigler Center for Study of Economy and State, Chicago - Center for Study of Economy and State
134, Chicago - Center for Study of Economy and State.
- Charles Mullin & Tomas Philipson, 1997. "The Future of Old-Age Longevity: Competitive Pricing of Mortality Contingent Claims," NBER Working Papers 6042, National Bureau of Economic Research, Inc.
- Milevsky, Moshe Arye & Posner, Steven E., 1998. "Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 33(03), pages 409-422, September.
- Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, Econometric Society, vol. 53(2), pages 385-407, March.
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